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Tangent models as a mathematical framework for dynamic calibration
Rene A. Carmona
, Sergey Nadtochiy
Operations Research & Financial Engineering
Bendheim Center for Finance
Mathematics
High Meadows Environmental Institute
Princeton Institute for Computational Science and Engineering
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Keyphrases
Mathematical Framework
100%
Dynamic Calibration
100%
Tangent Model
100%
Calibration Method
33%
Jump Component
33%
Market Model
33%
European Options
33%
Local Volatility
33%
Dynamic Market Model
33%
Absence of Arbitrage
33%
Pure Jump
33%
Economics, Econometrics and Finance
Volatility
100%
Option Trading
100%
Arbitrage
100%
Mathematics
Call Option
100%
Arbitrage
100%
Abstract Set
100%